1In a large mixing bowl, combine the all-purpose flour, granulated sugar, and salt.
In a small bowl, dissolve the active dry yeast in warm milk and let it sit for about 5 minutes until it becomes frothy.
Add the yeast mixture, unsalted butter, and egg to the flour mixture. Mix until a dough forms.
Knead the dough on a floured surface for about 10 minutes until it becomes smooth and elastic.
Place the dough in a greased bowl, cover it with a damp cloth, and let it rise in a warm place for about 1 hour or until it doubles in size.
While the dough is rising, prepare the topping by mixing the crushed Oreo cookies, cocoa powder, and powdered sugar in a bowl.
Once the dough has risen, punch it down and divide it into equal portions. Shape each portion into a ball.
Flatten each dough ball slightly and sprinkle the Oreo topping mixture on top, pressing it gently into the dough.
Place the prepared dough balls on a baking sheet lined with parchment paper. Cover them with a damp cloth and let them rise for another 30 minutes.
Preheat the oven to 350°F (175°C).
Bake the conchas in the preheated oven for 15-20 minutes or until they are lightly golden brown.
Remove from the oven and let them cool on a wire rack before serving.